Abstract:PurposeThe purpose of this study is to ascertain how foreign and domestic Exchange Traded Funds (ETFs) investing in Indian equities affect their return volatility and pricing efficiency. Further, we investigate how the difference in market timings affect the impact of ETFs on their constituents. Lastly, we examine how these effects vary during tranquil and turmoil periods in the ETF markets.Design/methodology/approachThe study is based on quarterly data for stocks comprising the CNX Nifty 50 Index from 2009Q1 … Show more
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